BulletShares USD High Yield Corporate Bond Indices

Transcription

1 BulletShares USD High Yield Corporate Bond Indices Index Description BulletShares USD High Yield Corporate Bond Indices provide maturity targeted exposure to the U.S. dollar-denominated high yield corporate bond market. Each BulletShares USD High Yield Corporate Bond Index tracks a diversified basket of bonds with the same annual maturity and is designed to have a return profile similar to that of an individual held-to-maturity bond. The result is a series of fixed income indices with successive annual maturities. BulletShares Indices are diversified bond portfolios designed to behave like bonds. BulletShares USD High Yield Corporate Bond Indices are constructed through a transparent, rules-based methodology developed by Accretive Asset Management. Each index consists of U.S. dollardenominated securities of globally domiciled corporate issuers that pay fixed amounts of taxable interest. Bonds must meet the following criteria to be included: Maximum credit rating of BB+ by Standard and Poors, Ba1 by Moody s Investors Service, Inc. or BB+ by Fitch Inc and a minimum average rating of CCC- from Fitch, S&P and Moody s. Minimum outstanding par amount of $200 million. On an annual basis, using AAM s proprietary methodology, each bond in the universe of eligible securities is allocated to a specific BulletShares USD High Yield Corporate Bond Index based on its year of maturity, or in some cases effective maturity. Effective maturity is utilized for callable bonds that have been assessed as having a reasonable likelihood of being called by the issuer prior to maturity. BulletShares USD High Yield Corporate Bond Indices are market value weighted and rebalanced on the last business day of each month. The information contained in this fact sheet is intended for personal use only and should not be relied upon as the basis for the execution of a security trade. Investors are advised to consult with their broker or other financial representative to verify pricing information for any securities referenced herein. Neither Accretive Asset Management LLC nor any of its direct or indirect third-party data suppliers or their affiliates shall have any liability for the accuracy or completeness of the information contained herein, nor for any lost profits, indirect, special or consequential damages. Either Accretive Asset Management LLC or its direct or indirect third-party data suppliers or their affiliates have exclusive proprietary rights in any information contained herein. The information contained in this fact sheet may not be used for any unauthorized purpose or redistributed without prior written approval from Accretive Asset Management LLC. BulletShares Bond Indices Ticker Index BSJKD 2013 Index BSJKE 2014 Index BSJKF 2015 Index BSJKG 2016 Index BSJKH 2017 Index BSJKI 2018 Index BSJKJ 2019 Index BSJKK 2020 Index BSJKL 2021 Index BSJKM 2022 Index Yield to Worst by Index (in Percent) Yield to Worst Duration to Worst by Index Duration to Worst

2 Index Statistics BSJKD 2013 BSJKE 2014 BSJKF 2015 BSJKG 2016 BSJKH 2017 BSJKI BSJKJ 2019 BSJKK 2020 BSJKL 2021 BSJKM 2022 Coupon (%) Accretive Rating 1 Duration Worst Years to Maturity YTM (%) Yield to Worst (%) Baa2 B2 B2 B1 B1 B2 B2 B2 B2 B Number of bonds Par Value ($billions) Top 10 Issues (%) Performance Index Level Month 0.0% - 0.2% - 0.5% - 0.4% - 0.2% - 0.1% - 0.6% - 1.0% - 0.8% - 1.3% 3 Months 0.8% 1.4% 1.9% 2.6% 2.7% 2.2% 2.9% 2.2% 3.1% 1.5% 6 Months 2.1% 3.6% 4.6% 5.9% 6.5% 6.7% 7.5% 5.8% 6.5% - 1 Year 5.8% 9.3% 11.4% 14.1% 16.3% 16.2% 16.8% 15.4% 16.4% - 3 Years Inception % 18.5% 18.8% 22.8% 24.7% 26.2% 26.2% 26.3% 26.6% - Annualized 5.45% 7.04% 7.13% 8.58% 9.24% 9.75% 9.74% 9.81% 9.91% - 1 Accretive calculates a weighted average composite rating for each index. The composite rating for each security in the eligible universe is determined by calculating the simple average of the security's ratings published by Nationally Recognized Statistical Rating Organizations and then rounding down to the nearest rating step. Each composite rating is then multiplied by each securities' weight in the portfolio to determine the overall index rating. 2 BulletShares USD High Yield Corporate Bond Indices inception date December 31, 2011, 2022 Index inception date 1/1/13

3 Index Top 10 Issues (Description and Index Weight) BSJKD 2013 Index BSJKE 2014 Index BSJKF 2015 Index BSJKG 2016 Index BSJKH 2017 Index United States Treasury 9/16/ % Transdigm Holding Company /15/ % Energy Future Inter First Data Corp Hldg Co /31/ /1/20 2.6% 3.0% Springleaf Finance Corp /15/ % Clearwire LLC /1/15 3.0% Novelis Inc /15/ % HCA Inc 8.5 4/15/ % Reynolds Issuer /15/19 1.7% Ally Finl Inc 8.3 2/12/ % CHS / Community Health Sys Inc % Everest Acquisition LLC /1/20 2.8% Sprint Nextel Corp /1/ % Harrahs Oper Co /1/17 2.8% Wind Acquisition Finance SA /15/ % Calpine Corporation Consol Energy Inc /15/ /1/17 1.7% 2.9% Calpine Corporation Chrysler Group LLC CIT Group Inc /15/21 2.1% /15/21 2.3% 8/15/ % CCO Holdings LLC /30/ % CCO Holdings 7.0 1/15/19 1.6% Commscope Incorporated /15/19 1.8% VPI Escrow Corp /15/20 2.1% Case New Holland Inc /1/ % Toys R Us Ppty Co LLC /15/ % Freescale Semiconductor Holding /15/ % HCA Incorporated /15/ % Echostar Corp /1/ % Ally Finl Inc 5.5 2/15/ % Case New Holland Inc /1/ % Warner Chilcott /15/ % Ally Financial /26/ % Sabine Pass LNG LP Sprint Corp /30/16 2.0% 8/15/ % Clearwire Excrow Corp /1/15 2.5% Atlantic Fin LLC /27/ % Chrysler Group LLC Inmet Mng Corp 8.0 6/15/19 1.7% /1/20 1.9% ArcelorMittal SA 5.0 2/25/17 1.8% Windstream Corp CIT Group Inc 5.25 Intelsat Jackson /1/13 2.1% 4/1/ % /1/19 1.7% Intelsat Jackson 7.5 4/1/21 1.5% AES Corp 8 10/15/ % DaVita Inc /1/ % Citycenter Hldgs LLC 8.5 5/1/ % CIT Group Inc 4.75 NRG Energy /15/ % 5/15/21 1.5% CIT Group Inc 5.0 5/15/ %

4 Index BSJKI 2018 Top 10 Index Issues BSJKJ (Description 2019 Index and BSJKK Index 2020 Index Weight) BSJKL 2021 Index BSJKM 2022 Index Sprint Corp 9 11/15/ % Reynolds Issuer /15/ % HCA Inc 6.5 2/15/ % First Data Corp /15/ % Sprint Corp /15/ % Kinetic Concepts Inc /1/ % Clear Channel Inc /15/ % CHS / Community CIT Group Inc 5.5 Health Systems Inc 2/15/ % /15/ % Reynolds Issuer /15/ % Hawk Acquisition /15/ % Dish DBS Corp /1/ % Sabine Pass Liquefaction LLC /1/ % Dish DBS Corp /15/ % Continental Res Inc 5.0 9/15/22 4.4% CIT Group /15/ % Sprint Cap Corp 6.9 Samson Invt Inc Metropcs Wireless 5/1/ % /15/20 1.8% Inc /1/ % Clear Channel Worldwide Hldgs Inc /15/ % ArcelorMittal SA /1/ % ArcelorMittal SA /1/ % Intelsat Jackson Hldgs /15/ % Clear Channel Inc 9 3/1/ % United Rentals North America /15/ % Peabody Energy 6 11/15/ % Linn Energy LLC /1/ % Ally Finl Inc 8.0 3/15/ % CCO Hldgs LLC 6.5 4/30/ % Centurytel Inc 5.8 3/15/ % Wind Acquisition Finance SA /15/ % First Data Corp First Data Corp ArcelorMIttal SA /15/19 1.7% /1/20 1.6% /1/21 1.8% Univision /15/22 2.8% NRG Energy Inc /15/ % Dish DBS Corp /1/ % Ally Finl Inc 7.5 9/15/ % Sprint Corp /15/ % Davita Inc /15/22 2.7% Vanguard Health Systems 8.0 2/1/18 1.4% Reynolds Issuer 9.0 Clear Channel 4/15/ % Worldwide Hldgs Inc /15/ % Peabody Energy Corp /15/ % CIT Group 5.0 8/15/ % IMS Health Inc /1/18 1.3% Laureate Ed Inc /1/19 1.6% Energy Transfer Equity L P /15/ % Centurytel Inc 6.45 CCO Hldgs LLC 6/15/21 1.5% /30/ %

5 BulletShares USD High Yield Corporate Bond Indices Sector Allocation* * Accretive organizes sector information by SIC codes.

6 About BulletShares Indices Each BulletShares Index measures the performance of a diversified basket of debt securities with similar effective maturities. BulletShares Indices have return profiles similar to individual bonds, but offer diversified exposure to the bond market. Each BulletShares Index is based on a transparent, rules-based methodology developed by Accretive Asset Management LLC. BulletShares Indices are designed serve as the basis for investment products intended to provide a diversified alternative to individual bond investing and to facilitate benchmarking of portfolios of individual bonds. BulletShares and the BulletShares logo are trademarks of Accretive Asset Management LLC. About Accretive Asset Management LLC Accretive Asset Management LLC creates investment products that help financial advisors better serve their clients. A recognized innovator in fixed income securities indexing, AAM delivers investor-focused solutions that improve upon traditional indexing techniques. As of June 30, 2013, AAM had licensed BulletShares Indices to 14 NYSE Arca-listed ETFs with approximately $2.7 billion in assets under license. For more information on BulletShares Indices or Accretive Asset Management, please contact: Darrin DeCosta, CFA, CPA Head of Product Development [email protected] (630) Matthew Patterson Head of Investment Strategy and General Counsel [email protected] (630) Brooks Johnson Head of Strategic Development [email protected] (630) Or visit our website at: Accretive Asset Management LLC 29 S. Webster St. Suite 395 Naperville, IL 60540